Please open an option pricer and follow along.

  1. Our listed option pricer lets you calculate greeks and implied volatility given an option price or greeks and option price given an implied volatility.

    You can either enter an option price or an implied volatility as shown in the above picture.

  2. In the picture below, we picked the WMT as the root. Once you enter an option root, we automatically populate the listed expirations for options on that root as well as the strikes that are listed for each expiration.

    Here we picked the $105 strike put expiring on Oct 18, 2019. The option price of $2.54 and the underlying ref price of $109.34 were automatically populated, and represent the latest traded prices from the last trading session.

    For index options, we use the corresponding futures price as the underlying ref price.

    The time of greek calculation is also prepopulated with the current time. You can choose your own time of greek calculation. This way you can price an option as of any time in the future or the past, and conduct scenario analysis based on changes in underlyer price and implied volatility. You can always change any of the pre-populated values.

    To perform the calculation, click on 'Calculate Greeks!' shown in the picture above.

  3. The result of the calculation is shown in the picture below. The calculated implied volatility is 22.01%.

  4. The result of the calculation also shows the rates and dividends used as illustrated in the pictures below.

  5. Our pricer can be used to perform scenario analysis. You can try various combinations of implied volatility and underlying ref price to map out the value of the option under various scenarios.
    Assume you pay $2.54 for these puts because you are bearish on the stock. Let us say we fast forward one month to Sep 2, 2019 16:00 hours and assume implied volatility stays at 22.01%. How much must the stock be down for us to break even on our purchase? Type in 22.01 for implied volatility and the new date as shown in the picture below. Let us try a stock price of $106.42.

  6. As shown in the picture below, the option is worth $2.55, which is close to the $2.54 you paid for it. So you can infer that the stock needs to be down more than $3 in the next month for you to start making money assuming that implied volatility is unchanged.

  7. Consider a second scenario where we fast forward one month to 16:00 hours and assume that the stock is at $104 and implied volatility has decreased to 20%. What is the option worth? Type in the new values of the underlying ref price, implied volatility and date as shown in the picture below.

  8. As shown below in the picture below, the option is worth $3.37, compared to the $2.54 you paid for it.

  9. Our option pricer uses a clock that ticks intraday. On expiration day, one can see readily see this effect by observing how the greeks change as we head toward expiration.

    For American style options, our powerful pricer captures early exercise situations correctly.

    We also offer an easy to use option pricing API that you can use to price options at high throughputs. The user can programatically submit the option root, expiry, strike, call or put, option price (or implied volatility) and the underlyer ref price, and get back implied volatility (or option price) along with delta, gamma and vega. For more information about our API, securely submit your details.

Try for yourself. Open a pricer.